What is a keying set and how does it fit into the animation workflow?
A keying set is a collection of properties which should be keyed together. E.g. if you want to animate an object's position you need to set a start-keyframe of the initial location and an end-keyframe of the final position.  The position is described as x,y,z coordinate Location is a keying-set that inserts x,y and z at once.

In this image you see (Dope Sheet in the upper part) a location keyed for frame 1 and rotation for frame 2 both were inserted by pressing I and selecting Location respectively Rotation.



If the object should also rotate you can user LocRot to insert location and rotation at once. The other features described by Leon cover arbitrary properties (almost everything can be animated in blender). Later you might want to animate color, transparency of a material then you would need to learn more about it. For the time being this should provide you a basic idea.

Related: What do the preferences keyframing options actually mean?